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Federal Register / Vol. 86, No. 184 / Monday, September 27, 2021 / Proposed Rules
53243

AEA%,M1 = EAE%,M1 AggUPB$ DA
= 19.7% $1,000m 45%0.5%
= $7.9m
where the Enterprises adjusted exposures EAEs for tranches A and B
are 100% and EAE%,M1 = 100% 60% 85.6%
35% 96.5% 85.6% = 19.7%.
The current ERCF calculates AEAs including the OEA, thus increasing the Enterprises exposure on M1. For tranches AH and B, the current ERCFs AEAs are the same as those of the proposed rule because the Enterprise does not transfer risk on the AH and B
tranches.
ERCFlAEA%,M1 = ERCFlEAE%,M1
AggUPB$ D A = 23.6%
$1,000m 4.5% 0.5% = $9.4m ERCFlEAE%,M1 = 100% 60%
85.6% 95.2% 35% 96.5%
85.6% 95.2% = 23.6%
Finally, the risk weights and exposures are combined to calculate risk-weighted assets. For the illustrative CRT, the proposed rule would calculate risk-weighted assets RWA as follows:
RWA$,AH = AEA$,AH RW%,AH = $955m 5% = $47.8m RWA = AEA$,M1 RW%,M1 = $7.9m
783% = $61.8m RWA = AEA$,B RW%,B = $2.5m
1250% = $31.3m with total RWAs on the retained CRT
exposures at $140.8 million, a decline of $202.9 million from the aggregate credit risk-weighted assets on the underlying single-family mortgage exposures of $343.8 million.
By comparison, the current ERCFs total RWA are higher primarily due to its higher risk weight floor on the senior AH exposure:
ERCFlRWA$,AH = ERCFlAEA$,AH
ERCFlRW%,AH = $955m 10% =
$95.5m ERCFlRWA$,M1 = ERCFlAEA$,M1
ERCFlRW%,M1 = $9.4m 785% =
$74.1m ERCFlRWA$,B = ERCFlAEA$,B
ERCFlRW%,B = $2.5m 1250% =
$31.3m with total RWAs on the retained CRT
exposures at $200.8 million.

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Overall, for this stylized CRT, the proposed rules total RWA capital relief of $202.9 million is 42 percent higher than the $143.0 million in capital relief from the current ERCF.
C. ERCF Technical Corrections The proposed rule would make technical corrections to the ERCF
related to definitions, variable names, the single-family countercyclical adjustment, and CRT formulas that were not accurately reflected in the ERCF
final rule published on December 17, 2020. These technical corrections would revise the ERCF for the following items:
In 1240.2, the definition of Multifamily mortgage exposure would be moved from its current location to a location that follows alphabetical order relative to the other definitions within the section. The definition of a multifamily mortgage exposure would not change.
In 1240.33, the definition of Long-term HPI trend would be updated to correct a typographical error that resulted in only the coefficient of the trendline formula, 0.66112295, being published. The corrected trendline formula would be 0.66112295e0.002619948t. The Enterprises use the long-term HPI trend as the basis for calculating the single-family countercyclical adjustment. As published, the trendline would be a time-invariant horizontal line rather than a time-varying exponential function.
In 1240.33, the definition of OLTV
for single-family mortgage exposures would be amended to include the parenthetical original loan-to-value after the acronym to provide additional clarity as to the meaning of OLTV.
Single-family OLTV would continue to be based on the lesser of the appraised value and the sale price of the property securing the single-family mortgage.
In 1240.37, the second paragraph d3iii would be redesignated as paragraph d3iv to correct a typographical error.

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In 1240.43b1, the term KG
would be replaced with KG to correct a typographical error.
In 1240.44, In paragraph b9iC, the term LTFUPB% would be replaced with the term LTFUPB% to correct a typographical error;
In paragraph b9iD, the term LTF% would be replaced with the term LTF% to correct a typographical error;
In paragraph b9ii, the term LTF% would be replaced with the term LTF% to correct a typographical error;
In paragraph b9iiB, the term CRTF15% would be replaced with the term CRTF15% to correct a typographical error;
In paragraph b9iiC, the term CRT80NotF15% would be replaced with the term CRT80NotF15% to correct a typographical error.
In paragraph b9iiE2i, the equation would be revised to correct a typographical error. The revised equation would be:
LTF% = CRTLT15 CRTF15% +
CRTLT80Not15 CRT80NotF15%
+ CRTLTGT80Not15
1CRT80NotF15% CRTF15%;
In paragraph b9iiE2iii, the term LTF% would be replaced with the term LTF%, to correct a typographical error;
In paragraph c introductory text, the term RW% would be replaced with the term RW% to correct a typographical error;
In paragraph c1, the term AggEL% would be replaced with the term AggEL% to correct a typographical error;
In paragraph g, the first three equations would be combined into one equation to correct a typographical error that erroneously split the equation into three distinct parts. The revised equation would be:

E:FRFM27SEP1.SGM

27SEP1

EP27SE21.007

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= $1,000m 0.5% - 0% 50% = $2.Sm